Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations. Issue 2 (3rd March 2016)
- Record Type:
- Journal Article
- Title:
- Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations. Issue 2 (3rd March 2016)
- Main Title:
- Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations
- Authors:
- Barczy, Mátyás
Pap, Gyula - Abstract:
- Abstract : We study asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations of the log-price process. We distinguish three cases: subcritical (also called ergodic), critical and supercritical. In the subcritical case, asymptotic normality is proved for all the parameters, while in the critical and supercritical cases, non-standard asymptotic behaviour is described.
- Is Part Of:
- Statistics. Volume 50:Issue 2(2016)
- Journal:
- Statistics
- Issue:
- Volume 50:Issue 2(2016)
- Issue Display:
- Volume 50, Issue 2 (2016)
- Year:
- 2016
- Volume:
- 50
- Issue:
- 2
- Issue Sort Value:
- 2016-0050-0002-0000
- Page Start:
- 389
- Page End:
- 417
- Publication Date:
- 2016-03-03
- Subjects:
- Heston model -- maximum-likelihood estimator
60H10 -- 91G70 -- 60F05 -- 62F12
Mathematical statistics -- Periodicals
519.505 - Journal URLs:
- http://www.tandfonline.com/toc/gsta20/current ↗
http://www.tandfonline.com/ ↗ - DOI:
- 10.1080/02331888.2015.1044991 ↗
- Languages:
- English
- ISSNs:
- 0233-1888
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 8453.505000
British Library DSC - BLDSS-3PM
British Library STI - ELD Digital store - Ingest File:
- 474.xml